Jiwook Jang Publications
Refereed Journals
Jang, J. and Fu, G. (2008) : Transform approach for operational risk management: VaR and TCE, Journal of Operational Risk, 3(2), 45-61.Dassios, A. and Jang, J. (2008) : The distribution of the interval between events of a Cox process with shot noise intensity, Journal of Applied Mathematics and Stochastic Analysis, Article ID 367170.
Jang, J. (2007) : Jump Diffusion Processes and their Applications in Insurance and Finance, Insurance: Mathematics & Economics, 41/1, 62-70.
Dassios, A. and Jang, J. (2005) : Kalman-Bucy filtering for linear system driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts, Journal of Applied Probability, 42/1, 93-107.
Jang, J. and Krvavych, Y. (2004) : Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform, Insurance: Mathematics & Economics, 35/1, 97-111.
Jang, J. (2004) : Martingale approach for moments of discounted aggregate claims, Journal of Risk and Insurance, 71/2, 201-211.
Dassios, A. and Jang, J. (2003) : Pricing of catastrophe reinsurance \& derivatives using the Cox process with shot noise intensity, Finance \& Stochastics, 7/1, 73-95.
Refereed Conference Papers
Jang, J. (2003) : The hidden of cost of delay in a credit loan portfolio; Proceedings of the 13th International AFIR Colloquium, The Dutch Actuarial Society.Jang, J. (2002) : Reserving using the Gaussian approximation to the Cox Process with shot noise intensity; Proceedings of the 27th International Congress of Actuaries, International Actuarial Association.
Submitted Papers and Working Papers
Jang, J. (2009) : A new approach for modelling credit contagion, under review at ‘Mathematical Finance’.Jang, J. (2009) : The cost of delay in a mortgage/credit loan portfolio, under review at ‘Asia Pacific Journal of Risk and Insurance’.
Jang, J. (2008) : Measuring CDS rate with copula-dependent default intensity, under review at ‘Journal of Futures Market’.
Conference Presentations
Jang, J. (2008); A new approach for measuring credit contagion, presented at the 1st International Forum on Research in Finance - Financial Risk: New Developments in Structured Products and Credit Derivatives, Paris, France and at the 5th World Congress of the Bachelier Finance Society, London.
Jang, J. (2008); Transform approach for operational risk management, presented at the 5th Annual Conference of Asia Pacific Association of Derivatives (APAD), Busan, Korea, at the 12th Annual APRIA Conference, Sydney, at the 15th International AFIR Colloquium, Manchester, UK and at Quantitative Methods in Finance 2008 Conference, Sydney.
Jang, J. (2007); Measuring CDS rate with copula-dependent default intensity, presented at the 16th International AFIR Colloquium, Stockholm, Sweden and at the 4th Annual Conference of Asia Pacific Association of Derivatives (APAD), Gurgaon, India.
Jang, J. (2005); Credit derivatives pricing using the Cox process with shot noise intensity, presented at the 15th International AFIR Colloquium, Zurich, Switzerland and at Quantitative Methods in Finance 2005 Conference, Sydney, Australia.
Jang, J. (2005); Generalised Levy Processes and their Applications in Insurance and Finance, presented at the 9th International Congress on Insurance: Mathematics & Economics, Quebec, Canada.
Jang, J. (2004); Measuring default premiums using the Cox process with shot noise intensity, presented at the 3rd World Congress of the Bachelier Finance Society, Chicago, U.S.A.
Jang, J. (2004); Measuring capital charge for a credit loan portfolio: VaR and TCE, presented at the 8th Asia-Pacific Risk and Insurance Association Annual Conference, Seoul, Korea.
Jang, J. (2004); The Laplace transform of the distribution of the Cox process with shot noise intensity and its application to reinsurance and
operational risk, presented at the 8th International Congress on Insurance: Mathematics & Economics, Rome, Italy.
Jang, J. (2003); The hidden of cost of delay in a credit loan portfolio; Proceedings of the 13th International AFIR Colloquium, Maastricht, The Netherlands.
Jang, J. (2003); Stop loss reinsurance pricing in an economic environment, presented at the 7th International Congress on
Insurance: Mathematics & Economics, Lyon, France.
Jang, J. (2002); Arbitrage-free premium calculation using the reversed shot noise process and the Esscher measure, presented at Quantitative Methods in Finance 2002 Conference, Cairns/Sydney, Australia and at the 28th Conference on Stochastic Processes and their Applications, Melbourne, Australia.
Jang, J. (2002); The Laplace transform of the distribution of the shot noise process with respect to the Esscher measure and its application
to the accumulated aggregate insurance claims, presented at the 6th International Congress on Insurance: Mathematics & Economics, Lisbon,
Portugal.
Jang, J. (2002); Reserving using the Gaussian approximation to the Cox process with shot noise intensity, presented at the 27th International Congress of Actuaries, Cancun, Mexico.
Jang, J. (2001); The pricing of catastrophe reinsurance contract using the Cox process and an equivalent martingale probability measure, invited and presented at the 53rd Session of the International Statistical Institute (ISI), Seoul, Korea.
Jang, J. (2000); The pricing of a stop-loss reinsurance contract using the Kalman-Bucy filter, presented at Quantitative Methods in Finance & Bernoulli society 2000 Conference, Sydney, Australia.
Jang, J. (2000); Doubly Stochastic Poisson Process and the Pricing of Catastrophe Reinsurance Contract' presented at the 31st International ASTIN Colloquium, Sardinia, Italy and at Fudan University in Shanghai & Nankai University in Tianjin, China.